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Estimating oil price ‘Value at Risk’ using the historical simulation approach
8 references·16 citing·38 second hop
Estimating oil price ‘Value at Risk’ using the historical simulation approach (2003)Estimating oil price ‘Value at Risk’ usin…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentEvaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…ARCH modeling in finance (1992)ARCH modeling in financeGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Modelling asymmetric volatility in oil prices under structural breaks (2017)Modelling asymmetric volatili…Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach (2015)Value-at-Risk estimation of e…Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014)Oil price fluctuation, volati…What causes price volatility and regime shifts in the natural gas market (2013)What causes price volatility …Volatility persistence in crude oil markets (2013)Volatility persistence in cru…Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks (2012)Downside risk management and …Risk management of precious metals (2011)Risk management of precious m…A nonparametric GARCH model of crude oil price return volatility (2011)A nonparametric GARCH model o…Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models (2010)Value-at-risk estimations of …Estimating Volatility Persistence in Oil Prices Under Structural Breaks (2010)Estimating Volatility Persist…Volatility transmission between oil prices and equity sector returns (2009)Volatility transmission betwe…Short-term predictability of crude oil markets: A detrended fluctuation analysis approach (2008)Short-term predictability of …Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008)Estimating ‘Value at Risk’ of…Estimation of value-at-risk for energy commodities via fat-tailed GARCH models (2007)Estimation of value-at-risk f…Emerging carbon constraints for corporate risk management (2006)Emerging carbon constraints f…Energy risk management and value at risk modeling (2005)Energy risk management and va…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Fractional Differencing (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis (2009)Cross-correlations between Chinese A-share and B-share markets (2010)An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Spillover effect of US dollar exchange rate on oil prices (2008)Oil price shocks and industry stock returns (2011)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic Conditional Correlation (2002)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Oil volatility, oil and gas firms and portfolio diversification (2018)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Portfolio Selection: Efficient Diversification of Investments (1959)The Behavior of Stock-Market Prices (1965)Evaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)An Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)Exploring the sources of default clustering (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)Econometric Analysis of Cross Section and Panel Data (2001)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 2015RiskMetrics Technical Document661 cited
  • 1999Oil price risk and the Australian stock market391 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited

Cited by

  • 2009Volatility transmission between oil prices and equity sector returns352 cited
  • 2008Short-term predictability of crude oil markets: A detrended fluctuation analysis approach245 cited
  • 2008Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach206 cited
  • 2014Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness204 cited
  • 2010Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models188 cited
  • 2011A nonparametric GARCH model of crude oil price return volatility183 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006Emerging carbon constraints for corporate risk management181 cited
  • 2007Estimation of value-at-risk for energy commodities via fat-tailed GARCH models171 cited
  • 2005Energy risk management and value at risk modeling119 cited
  • 2012Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks109 cited
  • 2011Risk management of precious metals106 cited
  • 2015Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach100 cited
  • 2013Volatility persistence in crude oil markets86 cited
  • 2010Estimating Volatility Persistence in Oil Prices Under Structural Breaks75 cited
  • 2017Modelling asymmetric volatility in oil prices under structural breaks72 cited
  • 2013What causes price volatility and regime shifts in the natural gas market71 cited